Testing a Unit Root Based on Aggregate Time Series

DOI10.1080/03610920701669736MaRDI QIDQ5457983zbMATH OpenOpenAlexFDO

Authors Erin M. Hodgess, Paulo Teles, William W. S. Wei

Publication date 10 April 2008

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920701669736

zbMATH Keywords

unit rootrandom walk modelsignificance levelDickey-Fuller testsaggregate time seriesright-shifted distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
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• scientific article; zbMATH DE number 897115 (Why is no real title available?)
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• Estimation of a non-invertible moving average process: the case of overdifferencing
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• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Limiting distributions of least squares estimates of unstable autoregressive processes
• On the Statistical Inference of a Machine-generated Autoregressive AR(1) Model
• Predictors for the first-order autoregressive process
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal aggregation and the power of tests for a unit root
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

Cited in

(9)

• Optimum designs for parameter estimation in linear mixture models with synergistic effects
• The Use of Aggregate Time Series in Testing for Gaussianity
• TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR
• The use of temporally aggregated data in modeling and testing a variance change in a time series
• Testing for a unit root in a near-integrated model with skip-sampled data
• A spectral measure for the information loss of temporal aggregation
• Temporal aggregation and the power of tests for a unit root
• A generalization of the Burridge-Guerre nonparametric unit root test
• The effects of temporal aggregation on tests of linearity of a time series.

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